Black-Derman-Toy Tree Analysis

Price and analyze Black-Derman-Toy interest-rate instrument

Functions

bdtpriceInstrument prices from Black-Derman-Toy interest-rate tree
bdtsensInstrument prices and sensitivities from Black-Derman-Toy interest-rate tree
bondbybdtPrice bond from Black-Derman-Toy interest-rate tree
capbybdtPrice cap instrument from Black-Derman-Toy interest-rate tree
cfbybdtPrice cash flows from Black-Derman-Toy interest-rate tree
fixedbybdtPrice fixed-rate note from Black-Derman-Toy interest-rate tree
floatbybdtPrice floating-rate note from Black-Derman-Toy interest-rate tree
floorbybdtPrice floor instrument from Black-Derman-Toy interest-rate tree
mmktbybdtCreate money-market tree from Black-Derman-Toy interest-rate tree
oasbybdtDetermine option adjusted spread using Black-Derman-Toy model
optbndbybdt Price bond option from Black-Derman-Toy interest-rate tree
optfloatbybdtPrice options on floating-rate notes for Black-Derman-Toy interest-rate tree
optembndbybdtPrice bonds with embedded options by Black-Derman-Toy interest-rate tree
optemfloatbybdtPrice embedded option on floating-rate note for Black-Derman-Toy interest-rate tree
rangefloatbybdtPrice range floating note using Black-Derman-Toy tree
swapbybdtPrice swap instrument from Black-Derman-Toy interest-rate tree
swaptionbybdtPrice swaption from Black-Derman-Toy interest-rate tree
derivgetGet derivatives pricing options
derivsetSet or modify derivatives pricing options

Examples and How To

Pricing Using Interest-Rate Tree Models

The portfolio pricing functions hjmprice and bdtprice calculate the price of any set of supported instruments, based on an interest-rate tree.

Computing Instrument Sensitivities

The delta, gamma, and vega sensitivities that Financial Instruments Toolbox™ computes are dollar sensitivities.

Pricing Options Structure

The MATLAB® Options structure provides additional input to most pricing functions.

Pricing a Portfolio Using the Black-Derman-Toy Model

This example illustrates how the Financial Instruments Toolbox™ is used to create a Black-Derman-Toy (BDT) tree and price a portfolio of instruments using the BDT model.

Concepts

Interest-Rate Tree Models

Overview of Interest-Rate Tree Models

Financial Instruments Toolbox computes prices and sensitivities of interest-rate contingent claims based on several methods of modeling changes in interest rates over time.

Understanding Interest-Rate Tree Models

Financial Instruments Toolbox supports the Black-Derman-Toy (BDT), Black-Karasinski (BK), Heath-Jarrow-Morton (HJM), and Hull-White (HW) interest-rate models.

Interest-Rate Instruments

Supported Interest-Rate Instruments

Interest-rate instruments supported by Financial Instruments Toolbox.